Estimating Private Equity Returns from Limited Partner Cash Flows

Andrew Ang · Bingxu Chen · William Nelson Goetzmann · Ludovic Phalippou

153 citations0/0 files storedThe Journal of Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Private Equity and Venture Capital Financial Markets and Investment Strategies Corporate Finance and Governance

Abstract

ABSTRACT We introduce a methodology to estimate the historical time series of returns to investment in private equity funds. The approach requires only an unbalanced panel of cash contributions and distributions accruing to limited partners and is robust to sparse data. We decompose private equity returns from 1994 to 2015 into a component due to traded factors and a time‐varying private equity premium not spanned by publicly traded factors. We find cyclicality in private equity returns that differs according to fund type and is consistent with the conjecture that capital market segmentation contributes to private equity returns.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 153 citations exist upstream.

References

1993Common risk factors in the returns on stocks and bonds 2014A five-factor asset pricing model 2003Liquidity Risk and Expected Stock Returns 1986Economic Forces and the Stock Market 2020Integración de los mercados financieros Latinoamericanos por medio de MILA 2013Betting against beta 2005Private Equity Performance: Returns, Persistence, and Capital Flows 2001Explaining the Rate Spread on Corporate Bonds

Cited by

2021Valuing Private Equity Investments Strip by Strip 2020Asset-Level Risk and Return in Real Estate Investments 2015The Public Market Equivalent and Private Equity Performance 2021Institutional Investors and Infrastructure Investing 2015Private Equity Performance: A Survey 2021The Return Expectations of Public Pension Funds 2021Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.